This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via textual analysis of the risk factors section. Our...

Using the Credit Rating Agency Reform Act of 2006, we examine the credibility of mandatory disclosure by credit rating agencies (CRAs) on managerial learning from stock prices. We find an increase in investment-price sensitivity for firms affected by the Act. Consistent with managers relying...

This study examines whether and how brokers manage the distribution of their stock recommendations. We document that in a quarter if a broker’s percentage of buy recommendations in the first two months is substantially higher than the historical average, the broker issues significantly fewer...

We examine whether brokers in order-driven markets possess an information advantage over their customers. We compare the price impact of proprietary trades to customer trades in Borsa Istanbul. We find an asymmetric effect: While proprietary buy trades lead to a significant price response...

This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine investor tastes for ESG assets and their pricing effects. We find that green bonds are significantly more oversubscribed than their conventional counterparts offered by the same...

We find strong evidence that analysts tend to have downward-biased earnings estimates immediately before merger announcement dates when earning announcement date is within a 60 day window prior to merger announcement date. Compared to pure stock deals, acquirer stocks in cash-only deals tend to...

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is...

Manipulation in the VIX settlement can cause significant losses to investors. Analysing high-frequency data, we present indications of VIX manipulation accelerating since 2017. Deviations have an upward direction and average at around 6%. Specific effects accompany settlement days. The put/call...

I hypothesize that the stock market overreacts to management earnings forecasts because of the uncertainty surrounding them. I find that negative management forecast surprises lead to a –5.9% abnormal return around the forecast and a 1.9% correction in the 2-month period after earnings are...

The study explores a relationship between divergence in ESG scores (measurements of a company's performance in environmental, social and governance issues) and excess stock returns on the European equity market. The sample consists of 851 European stocks in the period from January 2015 to May...